Empirical analysis on risk of security investment

DOI10.1007/S11766-009-1831-YzbMath1199.91260OpenAlexW2358859549MaRDI QIDQ846796

Peng An, Sheng-Hong Li

Publication date: 12 February 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-1831-y

zbMATH Keywords

time series analysiscapital asset pricing modelMarkowitz mean-variance modelregressive analysissecurities market

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Matlab

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